Open Access Open Access  Restricted Access Subscription Access

Identifying Distributions of Selected Stock Returns

N. V. Chandrasekara, C. D. Tilakaratne, M. A. Mammadov


Return distribution of stock markets has an immense interest in current financial world. Many approaches have proposed to model the return distribution of stock market index. In this study return distributions of three different stock markets, a highly volatile market (USA market), a stable market (Australian market) and an emerging market (Colombo Stock Exchange) were considered. The study period consist of 5 years daily data from 1st August 2007 to 31st July 2012 of three stock market indices, namely GSPC, AORD and ASPI. The results obtained show that the Scaled t distribution is the most suitable distribution to model the returns of all considered stock markets; while the Normal/Gaussian distribution, Student's t distribution are not suitable for this purposes.


Return Distribution, Gaussian Distribution, Scaled t Distribution

Full Text:


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information.